From what I have read, do not try anal sex the very first time you play with your ass. After you are assured that you are clean back there, have him just start rubbing your anus with his fingers. First just the outside, then a small amount of insertion. Maybe then try a small dildo with plenty of lube, like the Tantus small silk. link
A anal specific lube that is thicker is also helpful. After a few sessions where you do not feel as full, try moving up to a butt plug to start that will allow your butt to get used to something up there before your boyfriend puts his penis in. This Tantus ryder plug has some really good reviews. link
For more information, try reading through this guide. It has really good information.
And it should never ever be painful. If it is, you need to slow down and size down in whatever you are using.